V.6:5 (188-191): System Rankings by John Hill

V.6:5 (188-191): System Rankings by John Hill
Item# \V06\C05\SYSRANK.PDF
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System Rankings by John Hill

Futures Truth Company has updated its table on the performance of publicity available trading systems. Results are shown for the six months from August 1, 1987 to December 31, 1988. Similar tables covering the most recent 12 months and the past four years, as well as detailed reports on each system, are available from Futures Truth for $10.

Futures Truth has taken to covering black box systems as well as disclosed systems. We've published the six-month table because it minimizes the ability of vendors to "fit" their systems to historical data. As we understand it, all the programs in this table have been released to the market and their performance figures are therefore "real time." The six-month period used here covered some spectacular market action.

Programs are ranked according to Pessimistic Return on Margin (PROM), a figure developed by statistician Rod Sharp and popularized by Bo Thunman, head of Club 3000. This measure adjusts the usual return on margin calculation by changing the return figure. You assume that the number of wins will be fewer by the square root of the actual number and that the number of losses will be greater by the square root of the actual number . Then, the resulting numbers of wins or losses are multiplied by the average win or loss and the sum of the resulting wins/losses is divided by the required margin.

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